It is why, aged just 16 and newly-released by Wimbledon, the young defender wrote to Chelsea and invited the London club to sign him.
They politely declined. As did the vast majority of the other 29 clubs in the south east who received a letter from the young Davies.
The Hull City defender laughs at the memory now. He can afford to, thanks to Luton Town – who along with Colchester United were the only teams to write back with the offer of a trial – taking a chance.
Luton’s faith was rewarded four years later by a £3m windfall, as Davies joined West Bromwich Albion in the first of four big-money transfers that have seen the defender move for a combined £18m.
Now, more than a decade on from those rejection letters, Davies will this lunchtime look to put a dent in Chelsea’s title challenge in front of the live Sky cameras.
“I wrote to every club in the south east,” recalls the 28-year-old when asked about his prolific bout of letter and CV-writing in the summer of 2001. “Every single club.
“I’d just been released and I was working in Sainsbury’s stacking shelves. Pet food was the one I always seemed to get stuck with, so I’d go home stinking of Whiskas.
“The writing had been on the wall at Wimbledon for the last few months. I’d been troubled by sciatic pain. Then, in the second half of the season, they brought in a lad from Newcastle in my position.
“I was quite cheeky really. I shouldn’t have written to those clubs. It was one of those where I thought, ‘If you don’t ask, you don’t get’.
“I wrote to Chelsea, Arsenal, Tottenham... I wrote to them all. And I got a lot of rejection letters. I still have them somewhere at home.
“There is no doubt I was being cheeky. I had no right to ask to go to Chelsea after I had just been released from Wimbledon.
“But those rejection letters and then going to Luton were the best thing that happened to me.
“If I had come through at a bigger club, like a Chelsea or an Arsenal, I don’t think I would have had the opportunity to showcase my talents like I did at Luton.
“I might have had a better football education and maybe become a better player. But I believe my experiences at Luton made me a better player.
“Because you are a young star in an older team, then you get a bit more limelight than being the best reserve player at an Arsenal or a Tottenham.
“I was able to be in and around the first team from 17, 18 and then at 19. I played a full season when we won League One (in 2004-05, when Hull finished as runners-up).
“I don’t think I could have done that if I was anywhere else.”
Tigers fans will vouch for the football education that Davies received at Kenilworth Road. His impact since joining from Birmingham City for £2.25m in the summer has been huge, with Hull’s fine defensive record at the KC Stadium – just six goals have been conceded in 10 games – being, in part, down to how well Davies has done.
Today will, though, be a big test with Chelsea having won four of their last five Premier League games. The other, a trip to leaders Arsenal, ended goalless.
“With us having played Liverpool away, it is a tough start to the New Year,” said Davies. “But we are confident in terms of our home record, so, hopefully, we can emulate the first 10 minutes of the Manchester United game (by scoring twice).”
Davies’s fine form for Hull in the first half of the season has already alerted several clubs, with Everton linked with a possible £6m bid early in the window.
Steve Bruce’s response was succinct and to the point. “Which leg is that bid for?” said the Tigers manager.
“It is good for me that the manager rates me that highly,” said the Hull defender when asked about Bruce’s comments.
“Maybe the manager feels he got me cheap and wouldn’t be able to replace me for that money. That’s what you have to base it on, not what profit you’re getting.
“If he believes he can’t get a player as good as me for that money, that is good to hear. Anyway, I see myself at Hull long-term.
“I am enjoyed my time here. It is a good set of lads and the manager is taking us in the right direction.
“As long as we are able to maintain our Premier League status, I don’t see myself going anywhere.”
Davies’s return to the top flight after two years in the Championship with Birmingham has been a personal triumph for someone so determined to make up for lost time.
“I feel like I have missed out a bit,” he said. “For the last two years, I was in the Championship. That could have affected my career, I guess. People might have labelled me and said that is my level.
“I always had the ambition to come back. Unfortunately, it took a bit longer than I wanted, but to be here now and playing against these top teams and top players is what I wanted.
“I am glad to be showing my ability again and glad that things are going well for Hull City. Now, though, we need to push on.”